Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0172 |
| Annualized Std Dev | 0.0689 |
| Annualized Sharpe (Rf=0%) | 0.2491 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3471.0000 |
| NAs | 1.0000 |
| Minimum | -0.0386 |
| Quartile 1 | -0.0021 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0023 |
| Maximum | 0.0429 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0043 |
| Skewness | -0.1932 |
| Kurtosis | 11.8711 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0031 |
| Gain Deviation | 0.0030 |
| Loss Deviation | 0.0033 |
| Downside Deviation (MAR=210%) | 0.0093 |
| Downside Deviation (Rf=0%) | 0.0031 |
| Downside Deviation (0%) | 0.0031 |
| Maximum Drawdown | 0.1872 |
| Historical VaR (95%) | -0.0065 |
| Historical ES (95%) | -0.0100 |
| Modified VaR (95%) | -0.0063 |
| Modified ES (95%) | -0.0087 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-03-13 | 2008-11-24 | 2010-09-28 | -0.1872 | 642 | 179 | 463 |
| 2012-12-07 | 2018-11-02 | 2020-07-31 | -0.1353 | 1925 | 1488 | 437 |
| 2010-10-26 | 2011-02-10 | 2011-07-13 | -0.0640 | 180 | 75 | 105 |
| 2011-08-11 | 2011-10-14 | 2012-01-26 | -0.0370 | 116 | 46 | 70 |
| 2007-11-27 | 2007-12-17 | 2008-01-17 | -0.0370 | 36 | 15 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | -0.4 | 0.1 | 0.4 | 1.1 | -0.2 | 0.8 | 0.1 | 0.7 | 2.7 |
| 2008 | -0.3 | 1 | -1.9 | 0 | 0.4 | -0.6 | -0.7 | -0.4 | 0 | -0.8 | 1.6 | -0.5 | -2.3 |
| 2009 | 0.3 | -0.3 | 0.4 | -0.4 | -1.1 | -0.1 | 0.3 | -0.7 | 0.3 | 0.6 | -0.4 | -0.3 | -1.4 |
| 2010 | -0.1 | 0.1 | -0.4 | 0.2 | -0.5 | -0.7 | 0.4 | -0.5 | -0.1 | 0 | -0.8 | 0.7 | -1.7 |
| 2011 | -0.3 | 0.1 | -0.1 | 0.2 | -0.4 | -0.6 | -0.1 | 0.9 | -0.1 | 0.8 | -0.3 | 0 | 0.1 |
| 2012 | -0.1 | -0.4 | -0.4 | -0.5 | 0 | -0.4 | 0 | 0.5 | 0.3 | -0.2 | 0.2 | -0.4 | -1.5 |
| 2013 | -0.5 | 0.2 | 0.2 | -0.3 | 0 | 0.3 | -0.6 | -0.3 | -0.1 | -0.9 | -0.2 | -0.3 | -2.5 |
| 2014 | 0.2 | 0.1 | -0.3 | 0.2 | -0.3 | -0.8 | 0.1 | -0.2 | 0.8 | -0.1 | -0.3 | 0.5 | -0.1 |
| 2015 | 0.9 | 0.6 | 0.9 | -0.6 | -0.5 | -0.4 | 0.3 | -0.1 | 0.3 | 0.4 | 0.3 | 0.2 | 2.3 |
| 2016 | -0.3 | -0.2 | 0.1 | 0.2 | -0.2 | 0.4 | -0.8 | -0.4 | 0 | 0 | -0.2 | 0.3 | -1.1 |
| 2017 | -0.2 | -0.7 | 0.3 | -0.7 | -0.1 | -0.2 | 0 | -0.2 | -0.3 | -0.2 | 0 | 0.2 | -2 |
| 2018 | -0.5 | 0.3 | 0.3 | -0.7 | -0.3 | 0 | -0.7 | -0.1 | -0.4 | -0.2 | 0 | 0.1 | -2.1 |
| 2019 | -0.3 | -0.3 | -0.6 | -0.6 | 0.7 | -0.7 | 0.2 | -0.4 | 0 | 0.2 | -0.3 | 0.1 | -2 |
| 2020 | 0.6 | 0.2 | 0.1 | -0.2 | 0.1 | 0 | 0.2 | -0.4 | -0.3 | -0.3 | -0.4 | 0.4 | 0 |
| 2021 | -0.2 | -0.2 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-30 24.0 SPY 153. 0.0081 0.007 0.035 0.0891 0.196 0.367 0.420 GLD 64.7 -5.40e-3 -0.0077
2 2007-05-31 24.0 SPY 153. -0.001 0.00580 0.0313 0.0912 0.216 0.358 0.429 GLD 65.5 1.27e-2 0
3 2007-06-01 23.9 SPY 154. 0.005 0.02 0.0304 0.111 0.208 0.365 0.44 GLD 66.4 1.37e-2 0.0261
4 2007-06-06 24.0 SPY 152. -0.0107 -0.0107 0.0059 0.088 0.194 0.355 0.451 GLD 66.4 6.00e-4 0.0261
5 2007-06-07 23.8 SPY 149. -0.018 -0.0275 -0.0109 0.0594 0.176 0.320 0.412 GLD 65.3 -1.73e-2 -0.0043
6 2007-06-08 23.7 SPY 151. 0.013 -0.0197 -0.0008 0.0729 0.200 0.317 0.460 GLD 64.2 -1.59e-2 -0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
